Yes,
That was it for me as well. It played in WMP but in Vegas all I heard was audio until i installed that stand alone codec package. Also, If you install a tool such as VideoInspector or GSPOT and examine the video, it will tell you exactly what is the codec.
Gotcha, installed codec pack however, after restart opening the file in vegas still only shows the audio track. Thanks for VideoInspector, it does show among other things that MPEG-4 is not installed on my system.
Work around is to open in WM Encoder, render as WMA and then open in Vegas, etc.. not ideal however, it works.
If you open an *.mp4 and can't see video it may be not H264 but H263 (for example NeroDigital Standard). You can open it from *.mp4 in Vegas 6d only if "QuickTime compalible" option was checked during encoding and QuickTime 7Pro installed.
Otherwise you can use YAMB editor (yamb.unite-video.com) for demuxing such videostreams from mp4 conteiner to avi conteiner, then open this avi in Vegas as a simple XviD.